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st: Fwd: sureg


From   Marcello Pagano <pagano@hsph.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fwd: sureg
Date   Thu, 03 May 2007 07:58:22 -0400

Christopher Baum wrote:
*From: *Christopher Baum <baum@bc.edu <mailto:baum@bc.edu>>
*Date: *May 3, 2007 6:40:35 AM EDT
*To: *statalist@hsphsun2.harvard.edu <mailto:statalist@hsphsun2.harvard.edu>
*Cc: *vlw@stata.com <mailto:vlw@stata.com>
*Subject: **sureg*

sacrificial lamb

There are numerous cases where -sureg- run on several equations is equivalent in every way to running OLS on each equation. -sureg (y x1 x2 x3)- is one of them. It is doing nothing at all beyond OLS, except for reporting a large-sample VCE.

That said, -sureg- appears to have a bug. If you do

webuse auto
reg price mpg headroom trunk
sureg (price mpg headroom trunk)
sureg (price mpg headroom trunk), small

The latter sureg results should equal OLS in terms of the standard errors and the t-stats: that's the meaning of -small-. But that option appears to do nothing at all.

Compare with

ivreg2 price mpg headroom trunk
ivreg2 price mpg headroom trunk, small

The first will reproduce -sureg- (with or without the small option); the second will reproduce -regress-. So there appears to be something wrong with -sureg-'s small option; it labels things as t-stats but does not appear to calculate the VCE with the smaller denominator that -small- implies. This problem applies even if -sureg- is used as intended, e.g. to estimate multiple equations.

One more for the old cert script, developers?

Kit

On May 2, 2007, at 2:33 AM, statalist-digest wrote:

It seems like sureg command works even with one equation (sureg y x). I was not aware that Zellner's SUR can work with only one equation,
rather than two, therefore I assume that one-equation case corrects for
the correlated errors by using an instrument. Am I right? If so, which
instrument is it using? I would appreciate it if anyone leads me to a
more technical discussion, or explains what the estimation command is
doing.

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